Noise sensitivity of functionals of fractional Brownian motion driven stochastic differential equations: results and perspectives

DOI10.1007/978-3-319-65313-6_9MaRDI QIDQ1703897zbMATH OpenOpenAlexFDO

Authors Alexandre Richard, Denis Talay

Publication date 8 March 2018

Full work available at URL https://arxiv.org/abs/1702.03796

zbMATH Keywords

Malliavin calculusfractional Brownian motionfirst hitting time

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Fractional processes, including fractional Brownian motion (60G22)

Abstract: We present an innovating sensitivity analysis for stochastic differential equations: We study the sensitivity, when the Hurst parameter~$H$ of the driving fractional Brownian motion tends to the pure Brownian value, of probability distributions of smooth functionals of the trajectories of the solutions ${X_t^H}_{tinmathbb{R}_{+}}$ and of the Laplace transform of the first passage time of $X^H$ at a given threshold. Our technique requires to extend already known Gaussian estimates on the density of $X_t^H$ to estimates with constants which are uniform w.r.t. $t$ in in the whole half-line $R_{+}-0$ and $H$ when $H$ tends to~$frac12$.

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Cited in

(7)

• A note on the continuity in the Hurst index of the solution of rough differential equations driven by a fractional Brownian motion
• Kolmogorov distance between the exponential functionals of fractional Brownian motion
• Lipschitz continuity in the Hurst parameter of functionals of stochastic differential equations driven by a fractional Brownian motion
• The total variation distance between the solutions to stochastic Volterra equations and SDEs with its applications
• Estimation of several parameters in discretely-observed stochastic differential equations with additive fractional noise
• Long-time Hurst regularity of fractional stochastic differential equations and their ergodic means
• Continuity with respect to the Hurst parameter of solutions to stochastic evolution equations driven by \(H\)-valued fractional Brownian motion

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